The Itô-Ventzell formula and forward stochastic differential equations driven by Poisson random measures

zbMATH Open1118.60052MaRDI QIDQ2372385FDOQ2372385

Tu-Sheng Zhang, B. Øksendal

Publication date: 26 July 2007

Published in: Osaka Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ojm/1174324333

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Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) Random measures (60G57) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

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Cited In (23)

• A duopoly preemption game with two alternative stochastic investment choices
• Semi-linear backward stochastic integral partial differential equations driven by a Brownian motion and a Poisson point process
• On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions
• Pricing of claims in discrete time with partial information
• Stochastic differential games in insider markets via Malliavin calculus
• Local spectral statistics of the addition of random matrices
• A “direct” method to prove the generalized Itô–Venttsel’ formula for a generalized stochastic differential equation
• Derivative formulae for stochastic differential equations driven by Poisson random measures
• The Gaussian free field and SLE\(_{4}\) on doubly connected domains
• Generalized Cox model for default times
• Solving some stochastic partial differential equations driven by Lévy noise using two SDEs*
• DYNAMIC UTILITY AND RELATED NONLINEAR SPDES DRIVEN BY LÉVY NOISE
• Stability and Strong Convergence for Spatial Stochastic Kinetics
• AN ERGODIC BSDE RISK REPRESENTATION IN A JUMP-DIFFUSION FRAMEWORK
• A pathwise approach to backward and forward stochastic differential equations on the poisson space^*
• Optimal investment in markets with over and under-reaction to information
• Stochastic maximum principle with Lagrange multipliers and optimal consumption with Lévy wage
• Utilizing Topological Data Analysis for Studying Signals of Time-Delay Systems
• The Kakutani–Hellinger affinity of processes of Itô processes driven by Poisson random measures
• Solving stochastic optimal control problems by a Wiener chaos approach
• An Itô formula for domain-valued processes driven by stochastic flows
• Optimal hedging for fund and insurance managers with partially observable investment flows
• The generalized Itô–Venttsel’ formula in the case of a noncentered Poisson measure, a stochastic first integral, and a first integral

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